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Reports (Research Report) Year : 1996

A Stochastic Minimax Optimal Control Problem on Markov Chains with Infinite Horizon

Abstract

We consider here a stochastic discrete minimax optimal control problem defined on a finite state Markov chain in the case of infinite horizon. We prove the existence of an optimal control in terms of a generalized feedback policies. We characterize the optimal cost function and we present iterative methods to compute it numerically.
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Dates and versions

inria-00073753 , version 1 (24-05-2006)

Identifiers

  • HAL Id : inria-00073753 , version 1

Cite

Silvia C. Di Marco, Roberto L.V. González. A Stochastic Minimax Optimal Control Problem on Markov Chains with Infinite Horizon. [Research Report] RR-2946, INRIA. 1996. ⟨inria-00073753⟩
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